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The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market

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  • 1

    The CAPM can be written as E(Ri) = rf + ρ cov(RS, RM), where ρ is the market price per unit risk.

  • 2

    The results for the remaining sectors are qualitatively unchanged from those reported here, and are available on request from the authors.

  • *Initial work on this paper took place while the second author was on study leave at the ISMA Centre, The University of Reading. The news impact surfaces were graphed using a GAUSS Routine written by the second author and Michalis Ioannides. The data and estimation routines are available upon request from Chris Brooks. We are indebted to Kalvinder Shields, seminar participants at the University of Manchester and RMIT University and to an anonymous referee for helpful comments on earlier drafts of this paper. The responsibility for any errors or omissions lies solely with the authors.

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